Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0334 |
| Annualized Std Dev | 0.2368 |
| Annualized Sharpe (Rf=0%) | -0.1409 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4190.0000 |
| NAs | 1.0000 |
| Minimum | -0.2474 |
| Quartile 1 | -0.0058 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1684 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -1.5418 |
| Kurtosis | 32.7119 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.7696 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0364 |
| Modified VaR (95%) | -0.0206 |
| Modified ES (95%) | -0.0206 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-01-04 | 2020-03-18 | NA | -0.7696 | 3829 | 3575 | NA |
| 2005-03-02 | 2005-03-29 | 2005-07-12 | -0.1271 | 92 | 19 | 73 |
| 2005-10-03 | 2005-11-14 | 2005-11-25 | -0.1075 | 39 | 31 | 8 |
| 2004-12-22 | 2005-01-27 | 2005-02-16 | -0.0599 | 39 | 25 | 14 |
| 2005-08-17 | 2005-08-26 | 2005-09-06 | -0.0533 | 14 | 8 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | 0 | 0 | 1.7 | -1.2 | -1.2 | 2 | 1.2 |
| 2005 | -0.4 | 1.8 | -0.6 | -1.8 | -1.5 | 0.4 | -0.2 | -0.3 | 0.9 | 0.4 | -2.5 | 0.7 | -3 |
| 2006 | -1.4 | 1.8 | 0 | 0.2 | -0.4 | 0.8 | -3.4 | -4 | -0.1 | 1.4 | 1.4 | 0.4 | -3.5 |
| 2007 | 1.5 | -0.3 | 0 | 0.5 | 0.6 | 0.6 | -0.2 | 1.1 | 0.7 | -0.9 | 1.2 | 2.6 | 7.6 |
| 2008 | 1.6 | -1.3 | 2.3 | 1.5 | 0.3 | 0 | 0.1 | -1.4 | 1.4 | 1.7 | -7.1 | 4.3 | 3 |
| 2009 | -2.1 | -1.8 | 0.4 | 0.7 | 2.6 | 1.3 | 1.3 | -2.1 | -1.7 | -3.5 | 1.3 | 0.9 | -2.8 |
| 2010 | 0.4 | 0.7 | 1.2 | -1 | -1.4 | -0.8 | 0.1 | 1.4 | 0.5 | 0.2 | 1.9 | 0.8 | 3.8 |
| 2011 | 1.8 | -1.5 | 0.4 | 0.2 | -1.4 | 1 | 2 | -1.8 | -3 | -1 | -0.3 | 0.7 | -2.9 |
| 2012 | 2.9 | 1.1 | 0.2 | 0.7 | -2.1 | 2.9 | 2.2 | 0.8 | 0.6 | 2.8 | 0.4 | 1.9 | 15.3 |
| 2013 | 1.3 | 0.3 | -0.7 | -0.2 | -1.2 | 0.8 | 1.5 | -0.1 | 0.3 | 0.8 | 0.3 | 0.3 | 3.4 |
| 2014 | -1.1 | 0.3 | 1.1 | 0.8 | 0.5 | 1 | 0.1 | 0.5 | -0.6 | 1.7 | -0.6 | 0.8 | 4.5 |
| 2015 | -0.6 | 0.4 | 1.5 | 0.5 | 1.7 | 1 | -0.9 | -1.9 | 0.2 | 1 | 0.5 | -0.4 | 3 |
| 2016 | 0.7 | 1.3 | 0.6 | -1 | 0 | 0.6 | -0.1 | -0.6 | 1 | -1.1 | -0.7 | -0.2 | 0.4 |
| 2017 | -0.3 | 0.4 | 0.5 | 0.6 | 0.9 | 0.3 | 0.6 | 0.2 | 0.4 | -0.6 | -0.8 | -0.1 | 2 |
| 2018 | -0.1 | -0.9 | -0.1 | 1.1 | 0.8 | 0.4 | -0.5 | 0.5 | 1.7 | 3.4 | -0.2 | 0 | 6.1 |
| 2019 | 1.3 | 0.4 | 1.1 | 0.4 | -0.4 | 0.8 | 0.8 | -2.3 | 0.3 | 0.4 | 0.3 | -0.2 | 2.6 |
| 2020 | -0.2 | -6.5 | -5.5 | -2.1 | 1.9 | 1.7 | 0.7 | -0.3 | 1.1 | -0.9 | 1.2 | 0 | -8.9 |
| 2021 | -1.6 | 2.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
